1 resultado para Systemic Psychotherapy
em Repositório digital da Fundação Getúlio Vargas - FGV
Filtro por publicador
- ABACUS. Repositorio de Producción Científica - Universidad Europea (1)
- Aberdeen University (5)
- Aberystwyth University Repository - Reino Unido (1)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (3)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (3)
- Aquatic Commons (3)
- ARCA - Repositório Institucional da FIOCRUZ (1)
- Archive of European Integration (4)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (4)
- Aston University Research Archive (33)
- B-Digital - Universidade Fernando Pessoa - Portugal (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (45)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (7)
- Bioline International (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (206)
- Brock University, Canada (5)
- Brunel University (1)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- Cambridge University Engineering Department Publications Database (8)
- CentAUR: Central Archive University of Reading - UK (25)
- Centro Hospitalar do Porto (1)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (3)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (4)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (3)
- Dalarna University College Electronic Archive (1)
- Deakin Research Online - Australia (63)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (3)
- Digital Commons - Michigan Tech (1)
- Digital Commons @ DU | University of Denver Research (5)
- Digital Commons at Florida International University (3)
- Digital Peer Publishing (1)
- DigitalCommons@The Texas Medical Center (10)
- Duke University (3)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (2)
- FUNDAJ - Fundação Joaquim Nabuco (1)
- Glasgow Theses Service (1)
- Greenwich Academic Literature Archive - UK (1)
- Helda - Digital Repository of University of Helsinki (10)
- Indian Institute of Science - Bangalore - Índia (6)
- INSTITUTO DE PESQUISAS ENERGÉTICAS E NUCLEARES (IPEN) - Repositório Digital da Produção Técnico Científica - BibliotecaTerezine Arantes Ferra (2)
- Instituto Politécnico do Porto, Portugal (1)
- Instituto Superior de Psicologia Aplicada - Lisboa (1)
- Iowa Publications Online (IPO) - State Library, State of Iowa (Iowa), United States (1)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (1)
- Ministerio de Cultura, Spain (2)
- National Center for Biotechnology Information - NCBI (28)
- Open University Netherlands (1)
- Publishing Network for Geoscientific & Environmental Data (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (84)
- Queensland University of Technology - ePrints Archive (87)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (2)
- Repositório Científico da Universidade de Évora - Portugal (2)
- Repositório digital da Fundação Getúlio Vargas - FGV (1)
- Repositório do Centro Hospitalar de Lisboa Central, EPE - Centro Hospitalar de Lisboa Central, EPE, Portugal (5)
- Repositório Institucional da Universidade de Aveiro - Portugal (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (84)
- Repositorio Institucional Universidad de Medellín (1)
- Research Open Access Repository of the University of East London. (9)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- Scientific Open-access Literature Archive and Repository (7)
- Universidad de Alicante (5)
- Universidad del Rosario, Colombia (9)
- Universidad Politécnica de Madrid (1)
- Universidade de Lisboa - Repositório Aberto (1)
- Universidade Estadual Paulista "Júlio de Mesquita Filho" (UNESP) (1)
- Universidade Federal do Pará (2)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (3)
- Université de Lausanne, Switzerland (9)
- Université de Montréal (1)
- Université de Montréal, Canada (11)
- University of Michigan (4)
- University of Queensland eSpace - Australia (33)
- University of Washington (3)
Resumo:
This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.